Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0916 |
| Annualized Std Dev | 0.1559 |
| Annualized Sharpe (Rf=0%) | 0.5878 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3386.0000 |
| NAs | 1.0000 |
| Minimum | -0.0934 |
| Quartile 1 | -0.0041 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0053 |
| Maximum | 0.0781 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0098 |
| Skewness | -0.3911 |
| Kurtosis | 8.3641 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0072 |
| Gain Deviation | 0.0066 |
| Loss Deviation | 0.0078 |
| Downside Deviation (MAR=210%) | 0.0120 |
| Downside Deviation (Rf=0%) | 0.0070 |
| Downside Deviation (0%) | 0.0070 |
| Maximum Drawdown | 0.3750 |
| Historical VaR (95%) | -0.0146 |
| Historical ES (95%) | -0.0239 |
| Modified VaR (95%) | -0.0152 |
| Modified ES (95%) | -0.0292 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-05 | 2010-03-17 | -0.3750 | 469 | 250 | 219 |
| 2020-02-18 | 2020-03-23 | 2020-09-02 | -0.2596 | 139 | 25 | 114 |
| 2018-01-30 | 2018-12-24 | 2019-07-18 | -0.1831 | 369 | 228 | 141 |
| 2011-05-20 | 2011-08-10 | 2012-03-05 | -0.1431 | 198 | 57 | 141 |
| 2016-07-11 | 2016-12-01 | 2017-06-05 | -0.1129 | 228 | 102 | 126 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | -0.1 | -0.4 |
| 2007 | 0.6 | -2.7 | -0.2 | -0.4 | 0.5 | 1 | 0.2 | 0.5 | 0.1 | -2.1 | 0.7 | -0.7 | -2.4 |
| 2008 | 1.6 | -2 | -1 | 0 | 0 | -0.1 | -0.9 | -0.6 | 1 | 3.4 | -2 | 1.6 | 0.9 |
| 2009 | -0.8 | -2.6 | 0.8 | 0.1 | 3.1 | 2.1 | -0.8 | -0.9 | -0.7 | -1.3 | 1.7 | -0.3 | 0.3 |
| 2010 | -0.3 | -0.1 | 0.5 | 0.2 | -0.5 | 0 | 0.4 | 1.4 | 0.3 | -0.4 | 1.8 | 0 | 3.2 |
| 2011 | 0.5 | -1 | 0.7 | 0.6 | -0.9 | 0.9 | -0.8 | -0.6 | -1.3 | -1.6 | -0.1 | -0.6 | -4.3 |
| 2012 | 1 | 0.1 | 0.4 | -0.1 | -2.5 | 3.3 | -0.5 | 0.5 | 0.6 | 0.3 | 0.5 | 1.3 | 4.8 |
| 2013 | 0.6 | 0.1 | -0.2 | -0.4 | -1.7 | 0.1 | 1 | 0.1 | 0.6 | 0.1 | -0.4 | 0 | -0.2 |
| 2014 | 0.3 | 0.8 | 0.2 | -0.4 | 0.6 | 0.2 | 0.8 | -0.1 | -0.9 | 1.1 | -0.6 | -1.5 | 0.4 |
| 2015 | -2 | 0.4 | -0.1 | 1.2 | -0.2 | 1 | 0.6 | -2.2 | -0.1 | -0.8 | 1 | -1.1 | -2.4 |
| 2016 | 0.8 | 0.6 | 1.2 | 0.1 | 0.8 | -0.4 | -0.1 | -0.4 | 0.9 | -0.5 | -0.8 | -0.6 | 1.7 |
| 2017 | -0.7 | 0.5 | 0 | -0.5 | 0.9 | 0.2 | -0.1 | 0.5 | 0.3 | 0.4 | 0.1 | -0.1 | 1.4 |
| 2018 | -0.6 | -0.6 | 1.1 | -0.7 | -0.1 | -0.1 | -0.8 | 0.3 | -0.2 | 1.3 | 0.2 | 0.4 | 0.1 |
| 2019 | -0.5 | 0 | -0.4 | -1.4 | -1 | -0.1 | 0.1 | 0.2 | -0.5 | 0.1 | -0.2 | 0.3 | -3.3 |
| 2020 | -1.2 | -2.8 | -2 | -1.8 | 0.8 | -0.2 | -0.1 | -0.8 | 0.1 | -0.5 | 1 | 0.7 | -6.7 |
| 2021 | -0.1 | 0.7 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-07 47.8 SPY 139. 0.0038 0.006 0.0261 0.0916 0.134 0.303 0.233 GLD 62.0 2.40e-3 0.0299
2 2006-11-10 47.9 SPY 138. 0.0004 0.0125 0.0144 0.0876 0.121 0.315 0.226 GLD 62.5 -7.30e-3 0.003
3 2006-11-22 48.4 SPY 141. 0.002 0.0064 0.022 0.0869 0.116 0.352 0.236 GLD 62.5 3.70e-3 0.0107
4 2006-11-30 48.3 SPY 141. 0.0004 -0.0028 0.0199 0.0757 0.121 0.306 0.223 GLD 64.4 1.95e-2 0.0302
5 2006-12-04 48.9 SPY 141. 0.0076 0.0207 0.033 0.0731 0.114 0.318 0.246 GLD 64.1 0. 0.0066
6 2006-12-07 49.1 SPY 141. -0.0044 0.0045 0.0184 0.0835 0.120 0.312 0.203 GLD 62.7 6.00e-4 -0.0258
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
